Duration Dependence in Stock Prices
研究股票价格方向的时间序列依赖性，通过建模牛市或熊市终止的概率与市场年龄及利率等状态变量的关系，发现随机游走模型被拒绝，GARCH模型也无法解释超长牛市，而利率上升会降低熊市风险率，增加股价持续下跌的可能。
This paper studies time series dependence in the direction of stock prices by modelling the (instantaneous) probability that a bull or bear market terminates as a function of its age and a set of underlying state variables such as interest rates. A random walk model is rejected both for bull and bear markets. Although it fits the data better, a GARCH model is also found to be inconsistent with the very long bull markets observed in the data. The strongest effect of increasing interest rates is found to be a lower bear market hazard rate and hence a higher chance of continued declines in stock prices. ∗This paper benefitted from many insightsful comments from two anonymous referees. We thank Frank Diebold, Graham Elliott,